Assessing the power of VaR : new empirical evidence
Andrei Rusu
| Year of publication: |
2018
|
|---|---|
| Authors: | Rusu, Andrei |
| Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 6.2018, 4, p. 321-334
|
| Subject: | value at risk | VaR | APARCH | generalised Pareto distribution | GDP | back testing | financial markets | Risikomaß | Risk measure | VAR-Modell | VAR model | Schätzung | Estimation | Theorie | Theory | Finanzmarkt | Financial market | Bruttoinlandsprodukt | Gross domestic product | Statistische Verteilung | Statistical distribution | Nationaleinkommen | National income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011996888